// price function
private System.Func <DoubleArray, DoubleArray> createPriceFunction(SabrIborCapletFloorletVolatilityCalibrationDefinition sabrDefinition, RatesProvider ratesProvider, SabrParametersIborCapletFloorletVolatilities volatilities, IList <ResolvedIborCapFloorLeg> capList, IList <double> priceList)
{
System.Func <DoubleArray, DoubleArray> priceFunction = (DoubleArray x) =>
{
SabrParametersIborCapletFloorletVolatilities volsNew = updateParameters(sabrDefinition, volatilities, x);
return(DoubleArray.of(capList.Count, n => sabrPricer.presentValue(capList[n], ratesProvider, volsNew).Amount / priceList[n]));
};
return(priceFunction);
}
public virtual void test_presentValue()
{
CurrencyAmount capComputed = PRICER.presentValue(CAP, RATES, VOLS);
CurrencyAmount floorComputed = PRICER.presentValue(FLOOR, RATES, VOLS);
double capExpected = 0d;
double floorExpected = 0d;
int nPeriods = CAP.CapletFloorletPeriods.size();
for (int i = 0; i < nPeriods; ++i)
{
capExpected += PRICER_PERIOD.presentValue(CAP.CapletFloorletPeriods.get(i), RATES, VOLS).Amount;
floorExpected += PRICER_PERIOD.presentValue(FLOOR.CapletFloorletPeriods.get(i), RATES, VOLS).Amount;
}
assertEquals(capComputed.Currency, EUR);
assertEquals(capComputed.Amount, capExpected);
assertEquals(floorComputed.Currency, EUR);
assertEquals(floorComputed.Amount, floorExpected);
}
public virtual void test_presentValue()
{
MultiCurrencyAmount computed1 = PRICER.presentValue(CAP_ONE_LEG, RATES, VOLS);
MultiCurrencyAmount computed2 = PRICER.presentValue(CAP_TWO_LEGS, RATES, VOLS);
CurrencyAmount cap = PRICER_CAP_LEG.presentValue(CAP_LEG, RATES, VOLS);
CurrencyAmount pay = PRICER_PAY_LEG.presentValue(PAY_LEG, RATES);
assertEquals(computed1, MultiCurrencyAmount.of(cap));
assertEquals(computed2, MultiCurrencyAmount.of(cap.plus(pay)));
}
